Yor, M. (1992). Some Aspects of Brownian Motion. Part I: Some Special Functionals. Birkhäuser.
Yor, M. (1997). Some Aspects of Brownian Motion. Part II: Some Recent Martingale Problems. Birkhäuser.
Revuz, D., & Yor, M. (1999). Continuous martingales and Brownian motion. Springer.
Yor, M. (2001). On Exponential Functionals of Brownian Motion and Related Processes. Springer.
Emery, M., & Yor, M. (Eds.). (2002). Séminaire de probabilités 1967-1980: a selection in Martingale theory. Springer.
Chaumont, L. & Yor, M. (2003). Exercises in Probability: A Guided Tour from Measure Theory to Random Processes, via Conditioning. Cambridge University Press.
Mansuy, R. & Yor, M. (2006). Random Times and Enlargements of Filtrations in a Brownian Setting. Springer.
Mansuy, R. & Yor, M. (2008). Aspects of Brownian Motion. Springer.
Roynette, B. & Yor, M. (2009). Penalising Brownian Paths. Springer.
Jeanblanc, M. & Yor, M., Chesney, M. (2009). Mathematical methods for financial markets. Springer.
Profeta, C., Roynette, B. & Yor, M. (2010). Option Prices as Probabilities. Springer.
Hirsch, F., Profeta, C., Roynette, B. & Yor, M. (2011). Peacocks and associated martingales, with explicit constructions. Springer.
Main papers
Yor, M. (2001). Bessel processes, Asian options, and perpetuities. In Exponential Functionals of Brownian Motion and Related Processes (pp. 63–92). Springer Berlin Heidelberg.
Pitman, J., & Yor, M. (1997). The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator. The Annals of Probability, 25(2), 855-900.
Pitman, J., & Yor, M. (1982). A decomposition of Bessel bridges. Probability Theory and Related Fields, 59(4), 425-457.
^Le Gall, Jean-François; Pitman, Jim (15 February 2014),
"Obituary: Marc Yor 1949–2014", IMS Bulletin, archived from
the original on 19 October 2014, retrieved 8 October 2014.